Numerical Method of Hybrid Stochastic Functional Differential Equations with the Local Lipschitz Coefficients

Abstract:

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Recently, hybrid stochastic differential equations have received a great deal of attention. It is surprising that there are not any numerical schemes established for the hybrid stochastic functional differential equations. In this paper, the Euler—Maruyama method is developed, and the main aim is to show that the numerical solutions will converge to the true solutions under the local Lipschitz condition. The result obtained generalizes the earlier results.

Info:

Periodical:

Edited by:

Yanwen Wu

Pages:

422-426

DOI:

10.4028/www.scientific.net/AMR.267.422

Citation:

H. Yang et al., "Numerical Method of Hybrid Stochastic Functional Differential Equations with the Local Lipschitz Coefficients", Advanced Materials Research, Vol. 267, pp. 422-426, 2011

Online since:

June 2011

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Price:

$35.00

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